A Options History — June 2021

In June 2021, A traded between $136.11 and $148.74. ATM implied volatility averaged 18.8%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.6% (HV 20d: 17.2%). Max pain ranged from $135.00 to $145.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.58.

Notable Days

  • 2021-06-29: Highest Volume — 3,354 contracts
  • 2021-06-04: Largest IV drop — 12.9% change
  • 2021-06-01: Highest IV Rank — 21.0%
  • 2021-06-01: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$143.44$136.11$148.74$137.38$147.79
Max Pain$138.64$135.00$145.00$135.00$145.00
ATM IV18.8%16.8%21.9%21.9%16.8%
Expected Move5.4%4.8%6.3%6.3%4.8%
HV 20d17.2%14.2%22.3%22.3%14.2%
HV 60d18.0%17.4%19.0%18.9%17.5%
IV Rank7.8%0.0%21.0%21.0%0.0%
IV Percentile2.7%0.0%7.1%6.7%0.0%
Term Structure3.9%-0.4%6.6%-0.4%6.6%
VWIV19.0%17.0%21.4%21.4%17.1%
Skew 25d2.2%1.2%3.0%2.2%1.5%
Skew 10d4.9%2.1%7.2%5.3%3.8%
Call IV 25d18.2%16.3%20.9%20.9%16.5%
Put IV 25d20.4%17.9%23.5%23.1%17.9%
Bid-Ask Spread %66.6148.6080.3280.3259.49
Gamma HHI0.210.140.360.160.18
Net GEX2.5M1.6M4.2M2.1M2.1M
Net DEX-48.3M-78.8M-26.4M-33.3M-46.2M
Net VEX-266.1K-291.1K-238.5K-285.5K-284.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.151.780.160.99
Total Volume8312173,3541,529320
Total OI18,466.90916,97519,96918,00019,969

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$137.38$135.0021.9%6.3%22.3%21.0%21.4%2.2%-0.4%2.1M-33.3M-285.5K0.1680.32N/AN/A1,3162138,4899,511
2021-06-02$136.11$135.0021.6%6.2%20.9%19.6%20.9%2.9%-0.4%1.7M-26.4M-286.1K0.2779.70N/AN/A5791548,4629,588
2021-06-03$136.46$135.0021.8%6.1%19.4%20.4%20.7%3.0%2.5%1.7M-27.2M-286.6K0.3071.10N/AN/A4911468,5359,647
2021-06-04$138.01$135.0019.0%5.7%18.9%8.6%20.3%2.9%3.1%2.1M-33.5M-291.1K0.4073.49N/AN/A202818,6639,669
2021-06-07$137.61$135.0019.5%5.7%18.2%10.9%20.2%2.7%3.0%2.0M-31.2M-285.2K0.2152.76N/AN/A225488,6609,686
2021-06-08$138.61$135.0019.4%5.6%17.6%10.2%20.5%2.8%3.1%2.4M-35.7M-288.4K0.3548.60N/AN/A254888,6689,686
2021-06-09$140.10$135.0019.7%5.6%17.3%11.5%19.9%2.6%3.0%3.1M-45.6M-276.0K0.8558.98N/AN/A2712308,7919,708
2021-06-10$142.96$135.0018.3%5.2%16.5%5.6%19.3%2.3%3.7%3.9M-60.3M-263.7K0.1564.37N/AN/A9941488,7959,818
2021-06-11$143.12$135.0017.8%5.1%16.2%3.6%17.9%2.3%4.0%3.9M-59.0M-245.9K0.2260.45N/AN/A329718,5379,842
2021-06-14$143.93$135.0018.3%5.3%16.2%5.9%19.5%2.5%4.1%4.2M-60.3M-268.3K1.7859.98N/AN/A3335938,6989,822
2021-06-15$144.79$140.0018.3%5.3%15.6%5.9%18.5%2.3%3.7%4.1M-65.8M-247.3K0.3558.53N/AN/A3481238,82410,366
2021-06-16$143.46$140.0018.4%5.3%15.9%6.3%19.6%2.1%4.1%3.9M-58.1M-253.1K0.5778.64N/AN/A6533738,85110,434
2021-06-17$147.50$140.0018.5%5.3%17.7%6.7%18.6%2.1%4.2%3.4M-78.8M-238.5K1.0778.58N/AN/A4514828,92210,748
2021-06-18$146.20$140.0020.1%5.8%17.5%13.2%19.3%2.3%4.0%2.0M-70.9M-260.9K0.2667.40N/AN/A1,0982908,86311,089
2021-06-21$146.50$140.0018.8%5.4%17.4%7.7%18.7%1.9%4.4%1.6M-44.5M-266.9K0.3969.63N/AN/A3901537,3979,578
2021-06-22$146.71$140.0018.7%5.4%17.3%7.3%18.2%1.9%4.4%1.8M-47.2M-257.9K0.2976.67N/AN/A323937,5909,640
2021-06-23$147.39$140.0017.9%5.1%17.3%3.9%17.8%1.7%5.5%1.9M-47.6M-263.2K1.4278.77N/AN/A8371,1927,7009,680
2021-06-24$147.22$140.0017.7%5.1%17.2%3.3%17.7%1.7%5.4%1.9M-48.1M-269.9K0.5169.23N/AN/A147757,8709,821
2021-06-25$147.12$145.0017.1%4.9%14.9%0.8%17.0%1.9%5.7%1.9M-44.5M-247.6K0.4758.03N/AN/A4051928,16510,174
2021-06-28$147.87$145.0016.8%4.8%14.9%0.0%17.1%1.2%5.8%2.1M-48.9M-244.4K0.2570.67N/AN/A174438,34810,286
2021-06-29$148.74$145.0016.8%4.8%14.5%0.0%17.0%1.7%6.3%2.1M-49.6M-243.0K1.4350.14N/AN/A1,3791,9758,36810,314
2021-06-30$147.79$145.0016.8%4.8%14.2%0.0%17.1%1.5%6.6%2.1M-46.2M-284.7K0.9959.49N/AN/A1611599,06810,901